Modeling Financial Time Series with R

Based on Modeling
Financial Time Series with
S-PLUS, Second Edition
Complete re-write and 5
new chapters
Extensive use of R
packages
No use of S+FinMetrics
code
Preliminary chapters and
code on my website and
blog
Companion package
MFTSR on R-forge
ETA to publisher: October
Eric Zivot 2014
2014
 Audience and Purpose
Written for students, researchers and
practitioners who need or want to use R
for the analysis and forecasting of financial
time series
Commodities, equity, foreign exchange,
hedge-funds, interest rates, valuation ratios,
etc.
Roughly equal treatment of R and
statistical models
User guide for over 20 R packages
Real world examples
 Chapters and R Packages
Chapter
1. Time Series Specification,
Manipulation, and Visualization
2. Time Series Concepts
3. Estimation and Inference
4. Modeling Univariate Return
Distributions
5. Time Series Regression
6. Unit Roots, Variance Ratios,
and Long Memory
7. ARIMA Models and
Forecasting
8. Univariate Volatility Models
9. Technical Analysis of Financial
Time Series
R Packages Used
ggplot2, lubridate, PerformanceAnalytics,
quantmod, rCharts, zoo, xts, xtsExtra
car, dynlm, forecast, fracdiff, mFilter,
PerformanceAnalytics, quantmod, rugarch,
sandwich, tseries
maxLik
GeneralizedHyperbolic,
PerformanceAnalytics, SkewHyperbolic, sn
AER, car, dynlm, leaps, lmtest, lubridate,
quantmod, PerformanceAnalytics, quantreg,
sandwich, strucchange, tseries
arfima, CADFtest, fracdiff, urca, vrtest
car, dynlm, fanplot, forecast
car, finTS, MFTSR, PerformanceAnalytics,
quantmod, rugarch
quantmod, ttr, ttrtest
 Chapters and R Packages
Chapter R Packages Used
10. Modeling Extreme Values evir
11. Nonlinear Time Series Models depmixS4, MSwM, tsDyn, twinkle
12. Continuous-Time Models sde, yuima
13. Modeling High Frequency Financial highfrequency, PIN, TAQMGR
Time Series
14. Modeling Multivariate Return copula, mvtnorm, QRMlib, sn, tawny
Distributions
15. Vector Autoregressive Models vars, urca
16. Cointegration ecgm, MFTSR, urca
17. Multivariate Volatility and Correlation ccgarch, MFTSR, rmgarch,
Models
18. State Space Models dlm, dlmodeler, KFAS
19. Factor Models for Asset Returns corrplot, factorAnalytics
20. Interest Rate Models dlm, termstruc,
RQuantLib,YieldCurve
21. Generalized Method of Moments AER, dynlm, gmm, systemfit
 MFTSR Package
All datasets used in book (mostly xts
objects) and datasets from Modeling
Financial Time Series with S-PLUS,
Second Edition
Functions for EWMA modeling and
forecasting of univariate volatility and
multivariate covariance and correlation
Functions for cointegration models of price
discovery
 Need User Feedback!
Sample chapters and R code to become
available (next week) at
http://faculty.washington.edu/
ezivot/MFTSR.htm
MFTSR blog at
http://blogs.uw.edu/ezivot
Shiny apps to come!
Publisher (Springer-Verlag) deadline is
October, 2014!